Cart (Loading....) | Create Account
Close category search window
 

Fuzzy multi-objective portfolio selection model with transaction costs

Sign In

Cookies must be enabled to login.After enabling cookies , please use refresh or reload or ctrl+f5 on the browser for the login options.

Formats Non-Member Member
$31 $13
Learn how you can qualify for the best price for this item!
Become an IEEE Member or Subscribe to
IEEE Xplore for exclusive pricing!
close button

puzzle piece

IEEE membership options for an individual and IEEE Xplore subscriptions for an organization offer the most affordable access to essential journal articles, conference papers, standards, eBooks, and eLearning courses.

Learn more about:

IEEE membership

IEEE Xplore subscriptions

4 Author(s)
Yang Zhang ; Dept. of Comput. Sci., City Univ. of Hong Kong, Hong Kong, China ; Xiang Li ; Hau-San Wong ; Lirong Tan

Within the framework of credibility theory, several fuzzy portfolio selection models have been researched such as mean-variance model, chance constrained programming model, entropy optimization model and so on. However, all of them are proposed in the forms of single-objective programming, and there is no investigation on the transaction costs between the new portfolio and the existing one. In this paper, a fuzzy multi-objective mean-variance-skewness model with transaction costs is presented. In order to solve this model, a hybrid intelligent algorithm is designed by integrating simulated annealing algorithm, relevance vector machine and fuzzy simulation techniques, where the relevance vector machine is used to approximate the expected value, variance and skewness of portfolio returns and the fuzzy simulation is used to generate the training data for relevance vector machine.

Published in:

Fuzzy Systems, 2009. FUZZ-IEEE 2009. IEEE International Conference on

Date of Conference:

20-24 Aug. 2009

Need Help?


IEEE Advancing Technology for Humanity About IEEE Xplore | Contact | Help | Terms of Use | Nondiscrimination Policy | Site Map | Privacy & Opting Out of Cookies

A not-for-profit organization, IEEE is the world's largest professional association for the advancement of technology.
© Copyright 2014 IEEE - All rights reserved. Use of this web site signifies your agreement to the terms and conditions.